Hello Alberto,
> I have an emacs built from cvs (one week old, probably) for MacOS  
> (NS). I am trying to use the Options > Set Default Font Followed by  
> Options > Save Options to change the default emacs font (size).

Does the following bit of code solve the problem for you?

(defun ns-respond-to-change-font ()
   "Respond to changeFont: event, expecting ns-input-font and\n\
ns-input-fontsize of new font."
   (interactive)
   (let ((face 'default))
     (set-face-attribute face t
			:family ns-input-font
			:height (* 10 ns-input-fontsize))
     (set-face-attribute face (selected-frame)
			:family ns-input-font
			:height (* 10 ns-input-fontsize))
     (let ((spec
	   (list (list t (face-attr-construct 'default)))))
       (put face 'customized-face spec)
       (custom-push-theme 'theme-face face 'user 'set spec)
       (put face 'face-modified nil))))